MLM INDEX FUND - FORM 10-Q - November 9, 2009

Attached files

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EX-32.2 - EXHIBIT 32.2 - MLM INDEX FUND	ex32_2.htm
EX-31.1 - EXHIBIT 31.1 - MLM INDEX FUND	ex31_1.htm
EX-31.2 - EXHIBIT 31.2 - MLM INDEX FUND	ex31_2.htm
EX-32.1 - EXHIBIT 32.1 - MLM INDEX FUND	ex32_1.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

x Quarterly report pursuant to Section 13 or 15(d) of the Securities

Exchange Act of 1934

For the quarterly period ended September 30, 2009

o Transition report pursuant to Section 13 or 15(d) of the Securities

Exchange Act of 1934

For the transition period from ____________ to _____________

COMMISSION FILE NUMBER 0-49767

MLM INDEX™ FUND

(Exact name of registrant as specified in its charter)

DELAWARE		Unleveraged Series: 22-2897229
		Leveraged Series: 22-3722683
		Commodity Unleveraged Series: 20-8806944

(State or other jurisdiction of incorporation or organization)

(IRS Employer Identification Number)

405 South State Street, Newtown, PA

(Address of principal executive offices)

18940

(Zip Code)

(267) 359-3500

(Registrant's telephone number including area code)

(Former name, former address and former fiscal year, if

changed since last report)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months, and (2) has been subject to such filingrequirements for the past 90 days.

Yes T No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes o No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See definition of “accelerated filer,” “large accelerated filer,” and “smaller reporting company” “ in Rule 12-b-2 of the Exchange Act. (Check One):

Large Accelerated Filer o Accelerated Filer o Non-Accelerated Filer x Smaller Reporting Company o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12-b-2 of the Exchange Act).

Yes o No T

MLM Index™ Fund

Index to FORM 10-Q

September 30, 2009

	PART I – FINANCIAL INFORMATION
Item 1	Financial Statements:	Page Number
	Condensed Statements of Financial Condition as of September 30, 2009 (unaudited) and December 31, 2008 (audited)	4
	Condensed Schedules of Investments as of September 30, 2009 (unaudited) and December 31, 2008 (audited)	5
	Unaudited Condensed Statements of Operations for the three months ended September 30, 2009 and 2008 and for the nine months ended September 30, 2009 and 2008	6
	Unaudited Condensed Statements of Changes in Investors’ Interest for the nine months ended September 30, 2009 and 2008	7
	Unaudited Condensed Statements of Cash Flows for the nine months ended September 30, 2009 and 2008	9
	Notes to Unaudited Condensed Financial Statements	10
Item 2	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18
Item 3	Quantitative and Qualitative Disclosures of Market Risk	22
Item 4	Controls and Procedures	24

	PART II – OTHER INFORMATION
Item 1	Legal Proceedings	24
Item 1A	Risk Factors	24
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds	25
Item 3	Defaults Upon Senior Securities	25
Item 4	Submission of Matters to a Vote of Security Holders	25
Item 5	Other Information	25
Item 6	Exhibits and Reports on Form 8-K	26

Index

Item 1.

Financial Statements.

MLM Index™ Fund

Condensed Statements of Financial Condition

As of September 30, 2009 (Unaudited) and December 31, 2008 (Audited)

	September 30,		December 31,
	2009		2008
Assets
Cash and cash equivalents	$	87,414,434	$	98,799,819
Due from broker		27,792,176		34,554,803
Net unrealized gain on open futures contracts, at fair value		5,523,240		6,190,476
Interest receivable		14,982		65,278
Other assets		-		28
Total assets	$	120,744,832	$	139,610,404

Liabilities and investors’ interest
Redemptions payable	$	1,110,180	$	2,881,096
Brokerage commissions payable		73,961		88,976
Management fee payable		91,358		103,234
Accrued expenses		71,076		340,364
Total liabilities		1,346,575		3,413,670

Investors’ interest		119,398,257		136,196,734
Total liabilities and investors’ interest	$	120,744,832	$	139,610,404

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index™ Fund

Condensed Schedules of Investments

As of September 30, 2009 (Unaudited) and December 31, 2008 (Audited)

September 30, 2009 (Unaudited)			Unrealized			Percentage of
	Number of		appreciation/			investors'
Security Description	contracts		(depreciation)			Interest

Futures*
Long futures contracts
Financial		1,114	$	3,414,073			2.86	%
Commodity		239		(89,743	)		-0.08
		1,353		3,324,330			2.78
Short futures contracts
Commodity		218		2,198,910			1.84
		218		2,198,910			1.84

Net unrealized gain on open futures contracts, at fair value			$	5,523,240			4.62	%

*Derivatives not designated as hedging instruments under ASC 815-10 ”Derivatives and Hedging”

			Unrealized			Percentage of
December 31, 2008 (Audited)	Number of		appreciation			investors'
Security Description	contracts		(depreciation)			Interest

Futures*
Long futures contracts
Financial		720	$	6,039,956			4.44	%
		720		6,039,956			4.44	%
Short futures contracts
Financial		698		(3,493,494	)		(2.57	)
Commodity		1,872		3,644,014			2.68
		2,570		150,520			0.11

Net unrealized gain on open futures contracts, at fair value			$	6,190,476			4.55	%

* Derivatives not designated as hedging instruments under ASC 815-10 ”Derivatives and Hedging”

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index™ Fund

Unaudited Condensed Statements of Operations

	For the three months ended September 30, 2009			For the three months ended September 30, 2008			For the nine months ended September 30, 2009			For the nine months ended September 30, 2008
Investment income
Interest	$	43,620		$	780,377		$	143,917		$	2,489,768

Expenses
Brokerage commissions		222,307			237,970			729,067			732,273
Management fee		265,793			273,416			865,917			829,846
Operating expenses		164,162			213,372			507,006			649,965
Total expenses		652,262			724,758			2,101,990			2,212,084

Net investment income (loss)		(608,642	)		55,619			(1,958,073	)		277,684

Realized and unrealized gain (loss) on investments
Net realized gain (loss) on investments		2,551,617			(14,316,615	)		(5,796,940	)		(4,162,725	)
Net change in unrealized appreciation (depreciation) on investments		5,611,932			1,594,613			(634,507	)		2,330,470
Net realized and unrealized gain (loss) on investments		8,163,549			(12,722,002	)		(6,431,447	)		(1,832,255	)

Net income (loss)	$	7,554,907		$	(12,666,383	)	$	(8,389,520	)	$	(1,554,571	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index™ Fund

Unaudited Condensed Statement of Changes in Investors’ Interest

For the nine months ended September 30, 2009

	Leveraged Series															Unleveraged Series															Commodity L/S Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Total Leveraged Series			Class A Shares			Class B Shares			Class C Shares			Class D Shares			Total Unleveraged Series			Class D Shares		Total Investors’ Interest

Investors’ interest at December 31, 2008	$	6,903,329		$	13,796,085		$	1,327		$	31,281,480		$	51,982,221		$	4,293,290		$	12,404,908		$	1,320		$	67,514,995		$	84,214,513		$	-	$	136,196,734
Subscriptions		55,000			576,405			-			5,685,000			6,316,405			-			433,050			-			3,240,000			3,673,050			3,000,000		12,989,455
Redemptions		(1,089,631	)		(1,267,744	)		-			(3,422,845	)		(5,780,220	)		(35,000	)		(3,497,102	)		-			(12,086,090	)		(15,618,192	)		-		(21,398,412	)
Transfers		-			(5,055	)		-			536,934			531,879			-			5,055			-			(536,934	)		(531,879	)		-		-
Net gain (loss)		(769,174	)		(1,525,902	)		(147	)		(3,371,707	)		(5,666,930	)		(193,759	)		(404,604	)		(50	)		(2,331,237	)		(2,929,650	)		207,060		(8,389,520	)
Investors’ interest at Septemeber30, 2009	$	5,099,524		$	11,573,789		$	1,180		$	30,708,862		$	47,383,355		$	4,064,531		$	8,941,307		$	1,270		$	55,800,734		$	68,807,842		$	3,207,060	$	119,398,257

Shares at December 31, 2008		65,670			114,555			14			257,908						35,898			93,951			11			572,449						-
Subscriptions		663			5,272						50,305						-			3,381			-			28,514						30,000
Redemptions		(11,116	)		(11,639	)	─				(30,651	)					(318	)		(27,007	)		-			(106,140	)					-
Transfers		-			(43	)	─				5,513						-			39			-			(4,885	)					-
Shares at September 30, 2009		55,217			108,145			14			283,075						35,580			70,363			11			489,938						30,000
Net asset value per share: September 30, 2009	$	92.35		$	107.02		$	87.43		$	108.48					$	114.24		$	127.07		$	115.45		$	113.89					$	106.90

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index™ Fund

Unaudited Condensed Statement of Changes in Investors’ Interest

For the nine months ended September 30, 2008

	Leveraged Series															Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Total Leveraged Series			Class A Shares			Class B Shares			Class C Shares		Class D Shares			Total Unleveraged Series			Total Investors’ Interest
Investors’ interest at December 31, 2007	$	7,227,407		$	15,754,642		$	981		$	15,463,453		$	38,446,483		$	4,770,141		$	13,224,027		$	1,168	$	60,943,912		$	78,939,248		$	117,385,731
Subscriptions		367,155			906,232			−			8,235,000			9,508,387			19,900			469,871			−		2,150,000			2,639,771			12,148,158
Redemptions		(1,599,888	)		(4,684,640	)		−			(934,397	)		(7,218,925	)		(531,094	)		(2,245,010	)		−		(2,174,828	)		(4,950,932	)		(12,169,857	)
Transfers		(24,976	)		(15,736	)		−			−			(40,712	)		−			40,712			−		−			40,712			−
Net income (loss)		(219,803	)		(253,386	)		(33	)		(1,277,207	)		(1,750,429	)		(16,784	)		31,710			−		180,932			195,858			(1,554,571	)
Investors’ interest at September 30, 2008	$	5,749,895		$	11,707,112		$	948		$	21,486,849		$	38,944,804		$	4,242,163		$	11,521,310		$	1,168	$	61,100,016		$	76,864,657		$	115,809,461

Shares at December 31, 2007		91,630			176,908			14			173,842						44,626			113,169			11		586,472
Subscriptions		4,470			9,821			−			85,009						180			3,936			−		19,843
Redemptions		(19,484	)		(50,437	)		−			(10,342	)					(4,844	)		(18,902	)		−		(20,615	)
Transfers		(290	)		(188	)		−			−						−			342			−		−
Shares at September 30, 2008		76,326			136,104			14			248,509						39,962			98,545			11		585,700
Net asset value per share: September 30, 2008	$	75.33		$	86.02		$	70.20		$	86.46					$	106.15		$	116.91		$	102.78	$	104.32

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements

September 30, 2009

MLM Index™ Fund

Unaudited Condensed Statements of Cash Flows

	For the nine months ended September 30, 2009			For the nine months ended September 30, 2008

Cash flows from operating activities
Net income (loss)	$	(8,389,520	)	$	(1,554,571	)
Adjustments to reconcile net income (loss) to net cash and cash equivalents provided by (used in) operating and investing activities:
Net change in operating assets and liabilities:
Due from broker		6,762,627			(8,893,154	)
U.S. Government/Agency securities		-			(59,783,547	)
Net unrealized gain on open futures contracts		667,236			(2,364,735	)
Interest receivable		50,296			(367,127	)
Other assets		28			471
Brokerage commissions payable		(15,015	)		(5,213	)
Management fee payable		(11,876	)		(5,238	)
Accrued expenses		(269,288	)		175,471
Net cash and cash equivalents provided by (used in) operating and investing activities		(1,205,512	)		(72,797,643	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		12,989,455			11,648,158
Net redemptions, including payments of redemptions payable		(23,169,328	)		(13,160,912	)
Net cash and cash equivalents used in financing activities		(10,179,873	)		(1,512,754	)

Net increase (decrease) in cash and cash equivalents		(11,385,385	)		(74,310,397	))
Cash and cash equivalents at beginning of period		98,799,819			114,829,920
Cash and cash equivalents at end of period	$	87,414,434		$	40,519,523

Supplemental disclosures of non-cash financing activities:
Subscriptions recorded which were received in advance	$	-		$	500,000
Redemptions payable	$	1,110,180		$	515,487

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2009

1. Organization

MLM Index™ Fund (the “Trust”) was formed under the Business Trust Statute of the State of Delaware as a business trust in December 1997 and commenced operations on January 4, 1999. The Trust was organized for the primary purpose of seeking capital appreciation through the speculative trading of a diversified portfolio of futures contracts using the MLM Index™ Trading Program, which is based upon the MLM Index™ and the MLM Commodity Long/Short Index™ (the “Index”). The Index is a benchmark of the hypothetical returns available to a futures investor. The Index is comprised of a diverse portfolio of futures markets, including both financial and tangible markets.

Mount Lucas Management Corporation (the “Manager”) is the investment manager of the Trust and is responsible for the allocation of the Trust’s interest among a mix of trading strategies. The Manager is a registered investment advisor under the Investment Advisers Act of 1940, is registered as a commodity pool operator and a commodity-trading advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association.

2. Summary of Significant Accounting Policies

Basis of Presentation

The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”). The following is a summary of the significant accounting and reporting policies used in preparing the financial statements. Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with US GAAP have been omitted. In the opinion of the Manager, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial positions of the Trust as of September 30, 2009 and the results of its operations for the three months ended September 30, 2009 and 2008 and the nine months ended September 30, 2009 and 2008. The operating results for these interim periods many not be indicative of the results expected for a full year. These financial statements should be read in conjunction with the audited financial statements and accompanying notes included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2008.

Use of Estimates

The preparation of the accompanying financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Cash and Cash Equivalents

Cash and cash equivalents consist of highly liquid financial instruments with maturities of three months or less, when purchased. The Trust has cash on deposit with several financial institutions. In the event of a financial institution’s insolvency, recovery of cash on deposit may be limited to account insurance or other protection afforded such deposits. The Trust has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Investors bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distribution and redemptions received.

Due from Brokers

The Trust’s trading activities utilize one broker located in the United States. Due from broker represents cash balances held, unrealized profit or loss on futures contracts, and amounts receivable or payable for transactions not settled at September 30, 2009 and December 31, 2008.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2009

2. Summary of Significant Accounting Policies (continued)

Fair Value Measurements

The Trust has categorized its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument.

Financial assets and liabilities recorded on the statement of assets and liabilities are categorized based on the inputs to the valuation techniques as follows:

Level 1:

Financial assets and liabilities whose values are based on unadjusted quoted prices for identical assets or liabilities in an active market (examples include active exchange-traded equity securities, listed derivatives, most U.S. government and agency securities, and certain other sovereign government obligations).

Level 2:

Financial assets and liabilities whose values are based on the following:

Quoted prices for similar assets or liabilities in active markets (for example, restricted stock);

Quoted prices for identical or similar assets or liabilities in non-active markets (examples include corporate and municipal bonds, which trade infrequently);

Pricing models whose inputs are observable for substantially the full term of the asset or liability (examples include most over-the-counter derivatives, including interest rate and currency swaps); and

Pricing models whose inputs are derived principally from or corroborated by observable market data through correlation or other means for substantially the full term of the asset or liability (for example, certain mortgage loans).

Level 3:

Financial assets and liabilities whose values are based on prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management's own assumptions about the assumptions a market participant would use in pricing the asset or liability (examples include private equity investments, certain commercial mortgage whole loans and long-dated or complex derivatives, including certain foreign exchange options and long-dated options on gas and power).

Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. As of September 30, 2009 and December 31, 2008 all of the derivative instruments held by the Trust are fair valued based on quoted prices in active markets (Level 1).

The Trust’s trading positions are valued at market value and cash equivalents are carried at their net asset value per share including accrued interest, as applicable. All positions including the net unrealized appreciation or depreciation are included under the caption “net unrealized gain (loss) on open futures contracts” on the statements of financial condition. Market value is principally based on listed market prices or broker or dealer price quotations. The resulting change in unrealized profit or loss is reflected in net gain (loss) on change in unrealized appreciation (depreciation) on investments on the statements of operations.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2009

2. Summary of Significant Accounting Policies (continued)

Fair Value Measurements (continued)

In April 2009, the Financial Accounting Standards Board (“FASB”) issued accounting guidance clarifying the application of Accounting Standards Codification (“ASC”) Topic 820, “Fair Value Measurements and Disclosures”. The additional guidance provides for how the fair value of a financial asset or liability is determined when the volume and level of activity for the asset or liability have significantly decreased and on identifying circumstances that indicate a transaction is not orderly. The guidance was effective for interim and annual periods after June 15, 2009, with early adoption permitted for periods ending after March 15, 2009, and is to be applied prospectively. The Trust adopted the guidance effective January 1, 2009. As required, the Trust also adopted guidance relating to recognition and presentation of other-than-temporary impairments, effective January 1, 2009. The adoption of these pronouncements did not have an impact on the Trust’s financial statements.

Investment Transactions and Investment Income

All securities transactions are recorded on a trade-date basis. Realized gain and loss are recorded using specific identification method. Interest income is recorded using the accrual basis of accounting.

Income Taxes

The Unleveraged Series, the Leveraged Series and the Commodity L/S Unleveraged Series are classified for federal income tax purposes as separate partnerships. Investors in each Series will reflect their proportionate share of realized profit or loss on their separate tax returns. Accordingly, no provisions for income taxes are required for the Trust.

3. Cash and Cash Equivalents

The Trust’s cash and cash equivalents consisted of:

	September 30, 2009		December 31, 2008

Overnight money markets	$	2,382,000	$	1,893,000
U.S. Government/Agency securities		84,630,161		96,557,403
Cash in checking account		402,273		349,416
Total	$	87,414,434	$	98,799,819

4. Investors’ Interest

The Trust is comprised of three series: the MLM Index Unleveraged Series, which attempts to replicate the MLM Index without leverage, the MLM Index Leveraged Series, which attempts to replicate the MLM Index at three times leverage, and the MLM Commodities L/S Unleveraged Series which attempts to replicate the MLM Commodity Long/Short Index without leverage (collectively, the “Series”). Each Series has four classes of shares: Class A, Class B, Class C and Class D. Shares of the MLM Commodities L/S Unleveraged Series (Class D) were first issued on July 31, 2009. As of September 30, 2009, there has been no issuance of MLM Commodities L/S Classes A, B or C. Class A, Class B, Class C and Class D shares are sold by authorized selling agents appointed by the Manager to accredited investors at a price equal to each Class’s net asset value. Shares may be redeemed at net asset value as of the last day of any month upon at least ten business days’ written notice to the Manager.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2009

4. Investors’ Interest (continued)

The Manager allocates profits and losses among the investors of a Series based on the balance in each investor’s capital account.

The Manager paid all of the expenses associated with the organization of the Trust and the offered shares. As a result, each shareholder of Class A and Class B shares pays the Manager an organizational fee in the amount of 0.5% of their aggregate investment, net of any selling commission. Class A and Class B shareholders are not charged an organizational fee once they have contributed a total of $1,000,000 or more. Class C and Class D shareholders are not charged an organizational fee.

The Class A and Class C shares of each Series are subject to a sales commission of 0% to 4% of the subscription amount, payable to the selling agent from the investor’s investment for each series. The amount of the sales commission will be determined by the selling agent.

5. Margin Requirements

The Trust had margin requirements of $6,986,903 and $14,404,026 at September 30, 2009 and December 31, 2008, respectively, which were satisfied by cash held at the broker.

6. Management Fee and Other Fees and Expenses

The Trust pays the Manager a management fee and the introducing broker a brokerage fee as a percentage of net assets, as of the first day of each month at the annualized rates as follows:

	Leveraged Series
	Brokerage Fee			Management Fee			Organizational Fee			Operating Expense			Selling Expense			Total Fees and Commissions
Class A		1.75	%		2.80	%		0.50	%		0.35	%		4.00	%		9.40	%
Class B		1.75	%		1.30	%		0.50	%		0.35	%		N/A			3.90	%
Class C		0.90	%		2.05	%		N/A			0.35	%		4.00	%		7.30	%
Class D		0.90	%		1.30	%		N/A			0.35	%		N/A			2.55	%

	Unleveraged Series
	Brokerage Fee			Management Fee			Organizational Fee			Operating Expense			Selling Expense			Total Fees and Commissions
Class A		0.85	%		1.50	%		0.50	%		0.35	%		4.00	%		7.20	%
Class B		0.85	%		0.50	%		0.50	%		0.35	%		N/A			2.20	%
Class C		0.40	%		1.00	%		N/A			0.35	%		4.00	%		5.75	%
Class D		0.40	%		0.50	%		N/A			0.35	%		N/A			1.25	%

	Commodities L/S Unleveraged Series
	Brokerage Fee			Management Fee			Organizational Fee			Operating Expense			Selling Expense			Total Fees and Commissions
Class A		0.85	%		1.50	%		0.50	%		0.35	%		4.00	%		7.20	%
Class B		0.85	%		0.50	%		0.50	%		0.35	%		N/A			2.20	%
Class C		0.40	%		1.00	%		N/A			0.35	%		4.00	%		5.75	%
Class D		0.40	%		0.50	%		N/A			0.35	%		N/A			1.25	%

The Trust pays 0.35% of average net assets for the Trust’s legal, accounting, auditing and other operating expenses and fees. The Trust also pays the cash manager, banking fees and State of New Jersey K-1 filing fees directly.

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MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2009

7. Derivative Financial Instruments

Derivatives are subject to various risks similar to non-derivative financial instruments including market, credit, liquidity and operational risk. The risks of derivatives should not be viewed in isolation but rather should be considered on an aggregate basis along with the Trust’s other trading-related activities.

The Trust purchases and sells futures contracts in financial instruments and commodities. The Trust records its derivative activities on a mark-to-market basis with realized and unrealized gains (losses) recognized currently in the statements of operations and in due from brokers on the statements of financial condition.

The following table reflects the fair value of the Trust’s derivative financial instruments.

	Fair Value at
	September 30, 2009					December 31, 2008
	Assets		Liabilities			Assets		Liabilities
Financial futures	$	3,650,323	$	(236,250	)	$	6,221,375	$	(3,674,913	)
Commodity futures		3,429,824		(1,320,657	)		5,786,787		(2,142,773	)
Total	$	7,080,147	$	1,556,907		$	12,008,162	$	(5,817,686	)

The following table reflects the trading revenue of the Trust’s derivatives by instrument type.

	For the three months ended September 30, 2009
	Realized P/L			Change in Unrealized			Total
Financial futures	$	106,822		$	3,096,947		$	3,203,769
Commodity futures		(2,682,561	)		2,448,249			(234,312	)
	$	(2,575,739	)	$	5,545,196		$	2,969,457


	For the nine months ended September 30, 2009
	Realized P/L			Change in Unrealized			Total
Financial futures	$	(2,929,037	)	$	867,611		$	(2,061,426	)
Commodity futures		(2,867,443	)		(1,534,847	)		(4,402,290	)
	$	(5,796,470	)	$	(667,236	)	$	(6,463,716	)

Open contracts generally mature within three months. As of September 30, 2009, the latest maturity date for open futures contracts is March 2010, however the Trust intends to close all futures contracts prior to maturity.

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8. Financial Highlights

The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the nine months ended September 30, 2009:

	Leveraged Series												Unleveraged Series												Commodity L/S Unleveraged Series
	Class A			Class B			Class C			Class D			Class A			Class B			Class C			Class D			Class D
	Shares			Shares			Shares			Shares			Shares			Shares			Shares			Shares			Shares

Per share operating performance:
Net asset value per share at December 31, 2008/ issuance	$	105.12		$	120.43		$	98.31		$	121.29		$	119.60		$	132.04		$	116.06		$	117.94		$	100.00
Income from investment operations:
Net investment income (expense)		(2.32	)		(1.42	)		(1.67	)		(1.44	)		(1.62	)		(0.84	)		(1.16	)		(0.75	)		(0.16	)
Net realized and unrealized gain on investment transactions		(10.45	)		(11.99	)		(9.21	)		(11.37	)		(3.73	)		(4.13	)		(3.25	)		(3.30	)		7.06
Total from investment operations		(12.77	)		(13.41	)		(10.88	)		(12.81	)		(5.35	)		(4.97	)		(4.41	)		(4.05	)		6.90
Net asset value per share at September 30, 2009	$	92.35		$	107.02		$	87.43		$	108.48		$	114.25		$	127.07		$	111.65		$	113.89		$	106.90

Total Return:		(12.15	)%		(11.14	)%		(11.07	)%		(10.56	)%		(4.47	)%		(3.76	)%		(3.79	)%		(3.43	)%		6.90	%

Ratio to Average Investors’ Interest:
Net investment income		(2.50	)%		(1.31	)%		(1.86	)%		(1.28	)%		(1.41	)%		(0.67	)%		(1.03	)%		(0.67	)%		(0.23	)%
Expenses		(2.60	)%		(1.40	)%		(1.96	)%		(1.38	)%		(1.54	)%		(0.81	)%		(1.16	)%		(0.80	)%		(0.23	)%

Total return is calculated as the change in the net asset value per share for the nine months ended September 30, 2009. The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the nine months ended September 30, 2009.

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8. Financial Highlights (continued)

The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the nine months ended September 30, 2008:

	Leveraged Series												Unleveraged Series
	Class A			Class B			Class C			Class D			Class A			Class B			Class C			Class D
	Shares			Shares			Shares			Shares			Shares			Shares			Shares			Shares

Per share operating performance:
Net asset value per share at December 31, 2007	$	78.88		$	89.06		$	72.63		$	88.95		$	106.89		$	116.86		$	102.77		$	103.92
Income from investment operations:
Net investment income (expense)		(0.70	)		0.28			(0.21	)		0.28			0.55			1.51			0.93			1.34
Net realized and unrealized loss on investment transactions		(2.85	)		(3.32	)		(2.22	)		(2.77	)		(1.29	)		(1.46	)		(0.92	)		(0.94	)
Total from investment operations		(3.55	)		(3.04	)		(2.43	)		(2.49	)		(0.74	)		0.05			0.01			0.40
Net asset value per share at September 30, 2008	$	75.33		$	86.02		$	70.20		$	86.46		$	106.15		$	116.91		$	102.78		$	104.32

Total Return:		(4.50	)%		(3.41	)%		(3.35	)%		(2.80	)%		(0.69	)%		0.04	%		0.01	%		0.38	%

Ratio to Average Investors’ Interest:
Net investment income (expense)		(0.86	)%		0.33	%		(0.28	)%		(0.25	)%		0.53	%		1.30	%		0.88	%		1.26	%
Expenses		(2.89	)%		(1.75	)%		(2.25	)%		(1.60	)%		(1.62	)%		(0.86	)%		(1.22	)%		(0.84	)%

Total return is calculated as the change in the net asset value per share for the nine months ended September 30, 2008. The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the nine months ended September 30, 2008.

9. Reclassifications

Certain amounts and balances from the prior periods have been reclassified to conform with the current period presentation.

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10. New Accounting Pronouncements

Effective for the quarter ending June 30, 2009, The Trust adopted ASC Topic 855, “Subsequent Events” which provides guidance to establish general standards of accounting for and disclosures of events that occur after the balance sheet date but before financial statements are issued or are available to be issued. ACS Topic 855 also requires entities to disclose the date through which subsequent events were evaluated as well as the rationale for why that date was selected. The adoption of ACS Topic 855 did not have a material impact on the Trust financial statements.

In June 2009, the FASB issued SFAS No. 166, “Accounting for Transfers of Financial Assets – an amendment of FASB Statement No. 140” (“SFAS 166”), which requires additional information regarding transfers of financial assets, including securitization transactions, and where companies have continuing exposure to the risks related to transferred financial assets. SFAS 166 eliminates the concept of a “qualifying special-purpose entity,” changes the requirements for derecognizing financial assets, and requires additional disclosures. SFAS 166 is effective for fiscal years beginning after November 15, 2009. SFAS 166 is effective for the Trust on January 1, 2010. The Manager is evaluating the impact of adopting SFAS 166 and its impact on the Trust’s financial statements.

In June 2009, the FASB issued SFAS No. 167, “Amendments to FASB Interpretation No. 46(R)” (“SFAS 167”), which modifies how a company determines when an entity that is insufficiently capitalized or is not controlled through voting (or similar rights) should be consolidated. SFAS 167 clarifies that the determination of whether a company is required to consolidate an entity is based on, among other things, an entity’s purpose and design and a company’s ability to direct the activities of the entity that most significantly impact the entity’s economic performance. SFAS 167 requires an ongoing reassessment of whether a company is the primary beneficiary of a variable interest entity. SFAS 167 also requires additional disclosures about a company’s involvement in variable interest entities and any significant changes in risk exposure due to that involvement. SFAS 167 is effective for fiscal years beginning after November 15, 2009 and is effective for Series E on January 1, 2010. The Manager is evaluating the impact of adopting SFAS 167 and its impact on the Trust’s financial statements.

Effective July 1, 2009, the Trust adopted ASC Topic 105, “Generally Accepted Accounting Principles”. ASC Topic 105 establishes the FASB Accounting Standards Codification as the source of authoritative accounting principles recognized by the FASB to be applied by non-governmental entities in the preparation of financial statements in conformity with US GAAP. Rules and interpretive releases of the SEC under authority of federal securities laws are also sources of authoritative US GAAP for SEC registrants. The Codification did not change US GAAP but reorganizes the existing literature into Topics. References to FASB guidance throughout this document have been updated for the Codification.

On January 1, 2009, the Trust adopted certain provisions of ASC Topic 815 with respect to disclosures about derivative instruments and hedging activities and the provision of certain tabular disclosures of the effects of such instruments and related hedged items on our financial position, financial performance, and cash flows. See Note 7. Derivative financial instruments. The adoption of these provisions did not have a material impact on the Trust’s financial statements.

11. Subsequent Events

The Manager has evaluated events and transactions that occurred between September 30, 2009 and November 10, 2009, which is the date the financial statements were issued for possible disclosure or recognition in the financial statements. The Manager has determined that there were no such events or transactions that warrant disclosure or recognition in the financial statements.

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Item 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations.

General

MLM Index™ Fund (the “Trust”) is a business trust organized under the laws of Delaware. The Trust engages primarily in the speculative trading of a diversified portfolio of futures contracts using the MLM Index™ Trading Program (the “Trading Program”). Generally speaking, futures contracts are standardized contracts made on or through a commodity exchange and provide for future delivery of commodities such as precious metals, foreign currencies or financial instruments. Certain contracts can be settled only on a cash basis such as stock index futures contracts and Eurodollar futures contracts. The Trust's objective is the appreciation of its assets through speculative trading. The Trust began trading on January 4, 1999.

Mount Lucas Management Corporation (the “Manager”), a Delaware corporation, acts as the manager and trading advisor of the Trust. The Manager was formed in 1986 to act as an investment manager. As of September 30, 2009, the Manager had approximately $1.4 billion of assets under advisement. The Manager is a registered investment adviser under the Investment Advisers Act of 1940 and is a registered commodity trading advisor and commodity pool operator with the Commodity Futures Trading Commission (the "CFTC") and a member of the National Futures Association (the "NFA"). The Manager does and may in the future operate other investment vehicles.

The Trust and the Manager maintain their principal business office at 405 South State Street, Newtown, PA 18940 and their telephone number is (267) 759-3500.

The purpose of the Trust is to replicate the results of the MLM Index™ and the MLM Commodity Long/Short Index™, both designed to measure the risk premium available to futures traders. Designed as such, the results of the Trust depend on two factors, the results of the MLM Index™ and the MLM Commodity Long/Short Index™, and the Manager's ability to replicate that Index. It is important to note that the Manager also calculates the results of the MLM Index™ and the MLM Commodity Long/Short Index™. Thus, their role is twofold - to calculate the results of the MLM Index™ and the MLM Commodity Long/Short Index™, and to replicate the results of the MLM Index™ and the MLM Commodity Long/Short Index™ for the Trust. Any changes made to the composition of the MLM Index™ and/or the MLM Commodity Long/Short Index™ by the MLM Index™ Committee of the Manager will affect the trading of the Trust, since the objective of the Trust is to replicate the MLM Index™ and the MLM Commodity Long/Short Index™ as published.

Results of the MLM Index™

The MLM Index™ is calculated from the prices of 22 generally liquid futures contracts. These markets are traded on domestic and foreign exchanges. For each market, the MLM Index™ generally uses the price of 4 different delivery months each year. For example, in the Japanese Yen futures market, the MLM Index™ uses the March, June, September and December delivery months. On the day before trading day, the MLM Index™ determines whether to hold a long or short position in each constituent contract based on the calculation methodology of the MLM Index™. Once established, that position is held for the subsequent period, at which time it is re-evaluated. The monthly results of each constituent market are then used to calculate the MLM Index™ return. The objective of the Unleveraged is to replicate this monthly return. The objective of the Leveraged series is to replicate this monthly return 3 times over.

The volatility of the constituent markets in the MLM Index™ can affect the results of the Trust. The influences on this volatility are varied and unpredictable. However, since the objective of the Series is to replicate the MLM Index™, the Manager takes no unusual action to mitigate this volatility. The role of the Manager is to buy or sell the appropriate number of futures contracts in each constituent market such that the aggregate return of those positions replicates as closely as possible the results of the MLM Index™.

Index

In order to accomplish this objective, the Manager must calculate the number of contracts based on the assets in the Unleveraged and Leveraged Series of the Trust. Since the MLM Index™ rebalances positions each month, at that time the Manager must ascertain the asset level and execute orders to achieve the desired allocations. This is achieved by adding the performance results of the Trust for the month to the assets at the beginning of the month, and adding additions of capital from new subscriptions and subtracting redemptions in order to determine the asset level at the end of the period.

Results of the MLM Commodity Long/Short Index™

The MLM Commodity Long/Short Index™ is calculated from the prices of 11 generally liquid futures contracts. These markets are traded on domestic exchanges. For each market, the MLM Commodity Long/Short Index™ generally uses the price of 4 different delivery months each year. For example, in the Wheat futures market, the MLM Commodity Long/Short Index™ uses the March, June, September and December delivery months. On the day before trading day, the MLM Commodity Long/Short Index™ determines whether to hold a long or short position in each constituent contract based on the calculation methodology of the MLM Commodity Long/Short Index™. Once established, that position is held for the subsequent period, at which time it is re-evaluated. The monthly results of each constituent market are then used to calculate the MLM Commodity Long/Short Index™ return.

The volatility of the constituent markets in the MLM Commodity Long/Short Index™ can affect the results of the Trust. The influences on this volatility are varied and unpredictable. However, since the objective of the Series is to replicate the MLM Commodity Long/Short Index™, the Manager takes no unusual action to mitigate this volatility. The role of the Manager is to buy or sell the appropriate number of futures contracts in each constituent market such that the aggregate return of those positions replicates as closely as possible the results of the MLM Commodity Long/Short Index™.

In order to accomplish this objective, the Manager must calculate the number of contracts based on the assets in the Series. Since the MLM Commodity Long/Short Index™ rebalances positions each month, at that time the Manager must ascertain the asset level and execute orders to achieve the desired allocations. This is achieved by adding the performance results of the Trust for the month to the assets at the beginning of the month, and adding additions of capital from new subscriptions and subtracting redemptions in order to determine the asset level at the end of the period.

Summary of Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust's significant accounting policies are described in detail in Note 2 of the Notes to Unaudited Interim Financial Statements.

The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of “realized and unrealized gain (loss)” on investments in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, significant judgments and estimates by the Manager are involved in determining fair value in the absence of an active market closing price.

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Accounting Standards Codification (“ASC”) Topic 820, “Fair Value Measurements and Disclosures” provides additional guidance for how the fair value of a financial asset or liability is determined when the volume and level of activity for the asset or liability have significantly decreased and on identifying circumstances that indicate a transaction is not orderly. The guidance was effective for interim and annual periods after June 15, 2009, with early adoption permitted for periods ending after March 15, 2009, and is to be applied prospectively.

Financial Condition

To replicate the results of the MLM Index™ and the MLM Commodity Long/Short Index™, the Trust must effect trades on domestic or foreign futures exchanges. From the beginning of operations until October 2005, the Trust used Refco, LLC (“Refco”) as its futures commission merchant. In October 2005 the Trust moved all of its brokerage accounts to Citigroup Global Markets (“CGM”). The Manager deposits a percentage of the assets of the Trust in three separate accounts at CGM, one for the Unleveraged Series, one for the Leveraged Series and one for the Commodity L/S Unleveraged Series. The amount deposited is determined by the margin requirement established by the exchanges to hold the positions in the Trust. The margin requirements vary, but are generally about 2% of assets for the Unleveraged Series and 6% of assets for the Leveraged Series.

The balance of the assets of the Trust is held in separate custodial accounts at State Street Bank (the “Bank”). The Trust has contracted with Aberdeen Asset Management (the successor to Credit Suisse Asset Management (CSAM) ) to manage the money in these accounts so as to maximize the interest income, which accrues to each Series of the Trust, while maintaining strict credit controls as determined by the Commodities Exchange Act. When CGM requires additional assets to maintain the positions for reach Series of the Trust, the Bank makes a wire transfer to CGM. If CGM has surplus assets in the accounts, CGM makes a wire transfer to the accounts at the Bank.

The Trust owns no capital assets and does not borrow money. Since the objective of the Trust is to replicate the results of the MLM Index™ or the Commodity Long/Short Index™, as applicable, its entire asset base participates in the speculative trading of futures contracts. As such, all assets of the Trust are at risk. The level of assets will be determined by the results of the Trust, the effect of capital additions and the redemption of Trust interests. These variables are impossible to predict with any certainty.

The Trust purchases and sells futures in financial instruments and commodities. The Trust records its derivative activities on a mark-to-market basis with realized and unrealized gains (losses) recognized currently in the statements of operations.

Liquidity

The majority of the Trust's assets are held in liquid short term interest rate instruments. The Trust takes substantial exposure in futures markets, which require relatively small deposits, called margin, to hold the positions. In general, the Trust will have the minimum amount on deposit with brokers as margin, with the balance held in custodial accounts with the Bank.

Upon 10 days written notice to the Manager, a holder of interests in the Trust may liquidate their holding at the end of any month at the net asset value of the interests at that month end. While the Manager will generally honor all requests for redemption if presented in proper form, the Manager may temporarily suspend any redemption if the effect of such redemption, either alone or in conjunction with other redemptions, would impair the relevant Series' ability to operate. Further, the right to obtain redemption is contingent upon the relevant Series having assets sufficient to discharge its liabilities on the date of redemption. For example, under certain circumstances, the Manager may find it advisable to establish a reserve for contingent liabilities. In such event, the amount receivable by a redeeming holder of interests will be reduced by his proportionate share of the reserve. There is no secondary market for interests in the Trust, and none is anticipated to develop. There are restrictions on transfer of interests contained within the Trust Agreement.

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Although the Trust trades in futures contracts which are in general liquid, the exchanges impose daily trading limits, which act to suspend trading when a particular market or contract trades up or down to a pre-determined price level. Should this happen, and the Trust was attempting to execute trades in that situation, the Trust may not be able to accurately replicate the results of the MLM Index™ or the MLM Commodity Long/Short Index™. These rules have not had a material impact on the operation of the Trust to date but future impact is impossible to predict.

Market and Credit Risks

The nature of the Trust is such that it undertakes substantial market risk in following its mandate to replicate the MLM Index™ and the MLM Commodity Long/Short Index™. Although the Manager monitors the intraday and daily valuation of the portfolio, no extraordinary measures are taken to reduce market risk. Specifically, the Manager maintains positions required to match, as closely as possible, the return of the MLM Index and the MLM Commodity Long/Short Index™. There could be certain circumstances where the Manager might be called upon to make a change to this policy, such as the closing of an exchange or some other emergency situation. In such case, the Manager would use its best efforts to respond to such circumstances with the interests of the investors in mind.

The MLM Index™ and the MLM Commodity Long/Short Index™ is designed to capture returns from sustained trends in the constituent futures markets. When these trends exist in a market or sector, the MLM Index™ and the MLM Commodity Long/Short Index™ tends to exhibit positive performance in that market or sector. Conversely, if a market or sector is trendless and volatile, the performance for the market or sector is likely to be negative. The lack of any significant trend is generally an indication of poor results.

The MLM Index™ and the MLM Commodity Long/Short Index™ is not designed to predict which market will exhibit positive performance in any given year. The Manager does not select the constituent markets based on expectations of future performance. The MLM Index™ and the MLM Commodity Long/Short Index™ is designed to represent participation in a diverse basket of future contracts using a trend-following algorithm. The MLM Index™ and the MLM Commodity Long/Short Index™ is a diversified Index producing different levels of return in the various sectors from year-to-year.

The Trust incurs various kinds of credit risk in its operations. In order to facilitate the trading of the Trust, assets must be placed with both Futures Commission Merchants and Broker/Dealers. Management of the Trust deals only with established registered firms in both capacities, and monitors their financial condition on an ongoing basis. In addition, if the Trust were to enter into over-the-counter (“OTC”) transactions, additional counterparty risk would be incurred. There were no OTC transactions for the three or nine months ending September 30, 2009.

Results of Operations

At September 30, 2009, the Trust had assets of $120,744,832 and liabilities of $1,346,575 compared with assets of $139,610,404 and liabilities of $3,413,670 at December 31, 2008. Changes in the net assets of the Trust are the result of subscriptions and redemptions to the Trust, and the net loss from operations; including the results from futures trading, interest income, and fees and expenses. For the nine month period ended September 30, 2009, subscriptions to the Trust totaled $12,989,455 and redemptions totaled $21,398,412. During the nine-month period ended September 30, 2009, the Trust had a net loss of $8,389,520 compared with a net loss of $1,554,571 for the same period in 2008. Some expenses of the Trust are based on a percentage of net assets, and therefore increase or decrease as the net assets of the Trust increase or decrease.

Index

The Trust’s net income (loss) is directly related to the performance of the MLM Index™ and the MLM Commodity Long/Short Index™, which the Trust is designed to replicate. For the nine months ended September 30, 2009, MLM Index™ performance was -2.66%. Performance was -0.57% for the same period ended September 30, 2008. For the nine months ended September 30, 2009, MLM Commodity Long/Short Index™ performance was -8.42%. Performance was -0.89% for the same period ended September 30, 2008.The following table represents the performance by class for the MLM Index™ Fund for the nine months ended September 30, 2009 and September 30, 2008.

September 30, 2009:

	Leveraged Series												Unleveraged Series												Commodity L/S Unleveraged Series

	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class D Shares

Total Return:		(12.15	)%		(11.14	)%		(11.07	)%		(10.56	)%		(4.47	)%		(3.76	)%		(3.80	)%		(3.43	)%		6.90	%*
																									·July-Sep 09

September 30, 2008:

	Leveraged Series												Unleveraged Series

	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class A Shares			Class B Shares			Class C Shares			Class D Shares

Total Return:		(4.50	)%		(3.41	)%		(3.35	)%		(2.80	)%		(0.69	)%		0.04	%		0.01	%		0.38	%

The Trust’s performance may be negative in years when the MLM Index™ and/or the MLM Commodity Long/Short Index™ is positive due to the timing of subscriptions and redemptions, the fees charged and/or the allocation of assets between the Unleveraged, Leveraged and Commodity Long/Short Series of the Trust. Since inception of the Trust, the correlation of monthly results between the Unleveraged Series of the Trust and the MLM Index™ adjusted for fees is 0.99 and the . The correlation between the Leveraged Series of the Trust and the MLM Index™ adjusted for leverage and fees is 0.99. The correlation between the Commodity L/S Unleveraged Series of the Trust and the MLM Commodity Long/Short Index™ adjusted for leverage and fees is 0.99

The components of the return of the MLM Index™ and the MLM Commodity Long/Short Index™ are the capital gains earned from the changes in futures market prices and the interest income earned on cash balances less expenses incurred. The mechanics and rules of futures markets allow the Trust to earn interest on approximately 100% of the assets in the Trust. The interest income takes two forms: that paid directly from the Trust's futures broker on margin deposits held by it, and excess cash.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

The following is a discussion of the quantification of market risk for the Trust. Such calculations are often referred to as Value-at-Risk (“VAR”). The method used here may or may not differ from other methods used for VAR calculations by other firms. There is no one generally accepted method of VAR calculation and this method may not be comparable to methods used by others.

Index

The market risk, or VAR of the Trust, is directly related to the composition of the MLM Index™ and the MLM Commodity Long/Short Index™. Each month, the position of the MLM Index™ and the MLM Commodity Long/Short Index™ can be either long or short based on a 252 business day moving average rule. Since positions can be offset inside of sectors (one contract long in a particular commodity and one contract short in a related commodity), specific sector risk is less relevant than the historical risk of the MLM Index™ and the MLM Commodity Long/Short Index™ as a whole. Since the objective of the Trust is to replicate the MLM Index™ and the MLM Commodity Long/Short Index™, it is reasonable to use the historic values of that Index to estimate market risk.

The VAR of the Trust is calculated as follows:

The Manager calculates the standard deviation of the historical returns of the MLM Index™ and the MLM Commodity Long/Short Index™ over two time periods, using daily returns over the preceding 1 year ending at the date of this report, and using monthly returns over the preceding 10 years. Those results for the period ended September 30, 2009 are 0.70% and 1.91% for the MLM Index and 1.79% and 3.89% for the MLM Commodity Long/Short Index™ respectively. It is important to note that this calculation is made on the historical data of the MLM Index™ and the MLM Commodity Long/Short Index™. It is not based on the actual trading of the Trust and, accordingly, does not include any operational risk. The standard deviation is used to measure the dispersion of the returns of the MLM Index™ and the MLM Commodity Long/Short Index™ over time.

For the purposes of VAR, an attempt is made to estimate the size of a loss that may occur with some small probability. VAR does not estimate the possibility of a total loss, only the probability of a loss of some magnitude. The calculation is complicated by the fact that the standard deviation of the distribution assumes a normal distribution, which may or may not be a good estimate of the actual distribution. For the purposes of this estimate, the Manager has chosen to calculate the size of a daily and monthly loss that might occur with a probability of 1% (1 chance in 100). To do this, the standard deviation is multiplied by 2.35 to the standard 99% confidence interval, and by 1.5 to adjust for the possibility of a non-normal distribution. Using this methodology, for daily returns, this estimate is a loss of 2.53 %. For monthly returns, the estimate is a loss of 6.84%.

To ascertain a dollar loss amount for the Trust, the assets of the Trust as of September 30, 2009 are multiplied by the estimates of the risk calculated in step 2 above. The risk estimate is based on the fact that neither the MLM Index™ nor the MLM Commodity Long/Short Index™ uses leverage, so Trust assets must be adjusted for the distribution of assets among the Unleveraged and Leveraged Series of the Trust, with the leveraged assets having three times the risk of the Unleveraged assets. Based on the asset levels as of September 30, 2009, the Manager estimates that the Trust could expect to lose approximately $5.4 million in any given day and $14.6 million in any given month.

The estimate above, though reasonable, should not be taken as an assurance that losses in the Trust could not be greater than these amounts. This is simply a quantitative estimate based on the historical performance of the MLM Index™. A loss that occurs with a small probability may be substantially greater than the loss indicated above. Also, market conditions could change dramatically from the conditions that prevailed over the period used to calculate the estimate, thereby affecting the realized volatility of the market. Furthermore, other factors could affect trading, such as the inability to execute orders in a particular market due to operational or regulatory restrictions that may alter the pattern of the Trust’s returns. Specifically, the Manager advises other funds in addition to the Trust. In certain markets there is a limit to the size of a position that one entity can control (speculative limits). Since positions cannot exceed speculative limits, the Manager may have to allocate positions across accounts and funds, resulting in a less than complete replication of the MLM Index™ and the MLM Commodity Long/Short Index™. As outlined in the offering for the Trust, it is best to remember that all the assets invested are at a risk of loss.

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Since the calculation of the VAR does not look at the specific instrument risks, but rather the results of the MLM Index™ and the MLM Commodity Long/Short Index™ as a whole, risks related to actual execution are not included in the calculation. For example, counter-party risks from OTC transactions are not and cannot be factored into the calculation.

Additional market risk may be attributed to the actual execution of the orders for the Trust. The Trust executes the majority of its orders on the last day of each month. As assets of the Trust grow, large orders may be placed in periods of reduced liquidity. Such orders may move the markets in which they are executed, adversely affecting the performance of the Trust. The Manager makes every effort to execute all orders efficiently, but general levels of liquidity are beyond its control. In certain circumstances, markets may move to the daily trading limits imposed by the exchanges, and the Trust may be unable to execute the necessary orders to replicate the MLM Index™ and the MLM Commodity Long/Short Index™, causing a divergence of performance between the Trust and the MLM Index™ and the MLM Commodity Long/Short Index™, known as “slippage”.

Item 4.

Controls and Procedures.

The President and the Chief Operating Officer of the Manager (collectively the “Certifying Officers”) maintain a system of disclosure controls and procedures that is designed to provide reasonable assurance that information, which is required to be disclosed, is accumulated and communicated to management in a timely manner. The Certifying Officers have concluded that the disclosure controls and procedures are effective at the “reasonable assurance” level. As of September 30, 2009, the Certifying Officers evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule [13a-15(e)/15d-15(e)] under the Exchange Act). Furthermore, the Certifying Officers concluded that disclosure controls and procedures in place were designed to ensure that information required to be disclosed in reports that are filed or submitted under the Exchange Act are (i) recorded, processed, summarized and reported on a timely basis in accordance with Commission rules and regulations; and (ii) accumulated and communicated to the Certifying Officers and other persons that perform similar functions, if any, to allow them to make timely decisions regarding required disclosure in periodic filings. There have been no significant changes in the Trust’s internal control over financial reporting in the quarter ended September 30, 2009 that has materially affected or is reasonably likely to materially affect the Trust’s internal control over financial reporting.

Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

The Manager is not aware of any proceedings threatened or pending against the Trust and its affiliates which, if determined adversely, would have a material adverse effect on the financial condition or results of operations of the Trust.

Item 1a.

Risk Factors.

None.

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Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

	Leveraged Series								Unleveraged Series								Commodity Unleveraged Series
	Class A		Class B		Class C		Class D		Class A		Class B		Class C		Class D		Class D
Jul-09 Subscriptions	$	-	$	109,816	$	-	$	515.000	$	-	$	109,816	$	-	$	600,000	$	3,000,000
Subscriptions Units		-		1,104.19		-		5,141		-		882.08		-		5,408.17		30,000
# of Purchasers		-		2		-		5		-		2		-		6		1
Unit Price	$	85.59	$	98.95	$	80.82	$	100.17	$	111.54	$	123.87	$	108.85	$	110.94	$	100.00

Aug-09 Subscriptions	$	-	$	4,454.90	$	-	$	-	$	-	$	-	$	-	$	1,380,000	$	-
Subscriptions Units		-		42.35		-		-		-		-		-		12,185.46		-
# of Purchasers		-		2		-		-		-		-		-		6		-
Unit Price	$	90.88	$	105.19	$	85.92	$	106.55	$	113.72	$	126.40	$	111.07	$	113.24	$	108.53

Sep-09 Subscriptions	$	-	$	138,588	$	-	$	175,000	$	-	$	33,188	$	-	$	80,000	$	-
Subscriptions Units		-		1,288		-		1,613.15		-		259.87		-		702.41		-
# of Purchasers		-		3		-		2		-		2		-		2		-
Unit Price	$	92.35	$	107.02	$	87.43	$	108.48	$	114.25	$	127.07	$	111.65	$	113.89	$	106.90

Item 3.

Defaults Upon Senior Securities.

None.

Item 4.

Submission of Matters to Vote of Security Holders.

None.

Item 5.

Other Information.

The Commodity Long/Short Unleveraged Series was established by the Trust in May 2007 and received its first subscription for $3,000,000 in July 2009. The Series is one of among three Series that comprises the Trust and has been incorporated into this 10Q filing.

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Item 6.

Exhibits and Reports of Form 8-K.

(a) Reports on Form 8-K

NONE.

(b) Exhibits

31.1

Certification of President of the Manager Pursuant to Rule 13A-14(a) and Rule 15D-14(a), of the Securities Exchange Act, as amended.

31.2

Certification of Chief Operating Officer of the Manager Pursuant to Rule 13A-14(a) and Rule 15D-14(a), of the Securities Exchange Act, as amended.

32.1

Certification of President of the Manager Pursuant to 18 U.S.C. Section 1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

32.2

Certification of Chief Operating Officer of the Manager Pursuant to 18 U.S.C. Section 1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

MLM INDEX™ FUND

By:	Mount Lucas Management Corporation
Its:	Manager

By:	/s/ Timothy J. Rudderow
Timothy J. Rudderow, President

Date: November 10, 2009

Attached files

MLM INDEX FUND Reports

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